When we migrated to Gaia, we similarly configured via the UI the same settings as IPSO but proxy ARP did not work until we configured the 'Real IP Address' to be the VRRP virtual IP address of the interface.

Also, in Smartdashboard via Global Properties you need to 'Tick' 'Merge proxy ARP configuration' under NAT and install the policy. If you don't 'Tick' merge then the Checkpoint firewall will ignore the 'local.arp' file which is used for proxy ARP.